I found a workaround yesterday, but I can't explain why it is working.
If you delete AdGuard VPN connection in iOS settings, which will disable AG DNS, and setup NextDNS in AG application, it will work. Also, I realized after a while, that some third parties DNS have also that issue like ControlD but some not like Rethink DNS. I just can't explain why.
So if anyone is facing this issue, this is the solution while AdGuard dev solve this issue that I reported to their support.